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R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Thu, 31 Mar 2011 11:08:49 +0000

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2011/Mar/31/t1301569624dl86ke5rzpp2f3x.htm/, Retrieved Thu, 31 Mar 2011 13:07:06 +0200

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

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25525 26197 26555 57364 62022 34392 37258 76262 50423 32959 38601 31705 40754 41827 43983 91590 99026 54911 59487 121762 80508 52623 61632 50621 70206 68382 73039 157780 170589 94594 102477 209757 138689 90652 106172 87204 110160 112200 113832 245616 265608 147288 159528 326400 215832 141168 165240 135864

Output produced by software:

Summary of computational transaction Raw Input view raw input (R code) Raw Output view raw output of R engine Computing time 1 seconds R Server 'Herman Ole Andreas Wold' @ www.yougetit.org Autocorrelation Function Time lag k ACF(k) T-STAT P-value 1 -0.458868 -2.7147 0.005115 2 0.151756 0.8978 0.187714 3 0.110268 0.6524 0.259216 4 -0.000928 -0.0055 0.497825 5 -0.000486 -0.0029 0.498861 6 -0.000895 -0.0053 0.497902 7 -0.000493 -0.0029 0.498844 8 0.001107 0.0065 0.497406 9 -0.243966 -1.4433 0.078911 10 0.191388 1.1323 0.13261 11 0.041555 0.2458 0.40362 12 -0.423003 -2.5025 0.008576 13 0.285078 1.6865 0.050293 14 -0.14641 -0.8662 0.196148 15 -0.004211 -0.0249 0.490133 16 -0.000609 -0.0036 0.498574 17 0.000152 9e-04 0.499643 18 0.000798 0.0047 0.49813 19 -0.002153 -0.0127 0.494955 20 -0.000239 -0.0014 0.499439 21 0.133362 0.789 0.217718 22 -0.199362 -1.1794 0.123089 23 0.137541 0.8137 0.210658 24 -0.07055 -0.4174 0.339476 25 -0.003107 -0.0184 0.492719 26 0.000391 0.0023 0.499085 27 0.000519 0.0031 0.498784 28 0.000418 0.0025 0.49902 29 -0.000573 -0.0034 0.498658 30 -0.000676 -0.004 0.498417 31 0.001848 0.0109 0.495669 32 -0.002228 -0.0132 0.494779 33 0.002528 0.015 0.494076 34 4.7e-05 3e-04 0.499889 35 NA NA NA 36 NA NA NA 37 NA NA NA 38 NA NA NA 39 NA NA NA 40 NA NA NA 41 NA NA NA 42 NA NA NA 43 NA NA NA 44 NA NA NA 45 NA NA NA 46 NA NA NA 47 NA NA NA 48 NA NA NA Partial Autocorrelation Function Time lag k PACF(k) T-STAT P-value 1 -0.458868 -2.7147 0.005115 2 -0.074489 -0.4407 0.331077 3 0.192228 1.1372 0.131582 4 0.18119 1.0719 0.145542 5 0.051984 0.3075 0.380126 6 -0.054176 -0.3205 0.375244 7 -0.071605 -0.4236 0.337216 8 -0.028302 -0.1674 0.433995 9 -0.322066 -1.9054 0.032487 10 -0.073218 -0.4332 0.333777 11 0.285941 1.6916 0.0498 12 -0.300392 -1.7771 0.042118 13 -0.145123 -0.8586 0.198212 14 -0.01818 -0.1076 0.457482 15 0.055602 0.3289 0.37208 16 0.03697 0.2187 0.41407 17 -0.027516 -0.1628 0.435811 18 -0.055548 -0.3286 0.372199 19 0.082942 0.4907 0.313353 20 -0.012784 -0.0756 0.470071 21 -0.1263 -0.7472 0.229967 22 -0.074454 -0.4405 0.331151 23 0.118833 0.703 0.243344 24 -0.24716 -1.4622 0.076301 25 -0.11408 -0.6749 0.252085 26 0.009542 0.0565 0.477652 27 0.082041 0.4854 0.315222 28 0.072705 0.4301 0.33487 29 -0.03985 -0.2358 0.407498 30 -0.035109 -0.2077 0.41833 31 0.001293 0.0077 0.49697 32 -0.033405 -0.1976 0.422239 33 -0.073711 -0.4361 0.332728 34 -0.059461 -0.3518 0.363557 35 NA NA NA 36 NA NA NA 37 NA NA NA 38 NA NA NA 39 NA NA NA 40 NA NA NA 41 NA NA NA 42 NA NA NA 43 NA NA NA 44 NA NA NA 45 NA NA NA 46 NA NA NA 47 NA NA NA 48 NA NA NA

Charts produced by software:

http://www.freestatistics.org/blog/date/2011/Mar/31/t1301569624dl86ke5rzpp2f3x/1fggv1301569728.png (open in new window) http://www.freestatistics.org/blog/date/2011/Mar/31/t1301569624dl86ke5rzpp2f3x/1fggv1301569728.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Mar/31/t1301569624dl86ke5rzpp2f3x/2vo651301569728.png (open in new window) http://www.freestatistics.org/blog/date/2011/Mar/31/t1301569624dl86ke5rzpp2f3x/2vo651301569728.ps (open in new window) http://www.freestatistics.org/blog/date/2011/Mar/31/t1301569624dl86ke5rzpp2f3x/30b711301569728.png (open in new window) http://www.freestatistics.org/blog/date/2011/Mar/31/t1301569624dl86ke5rzpp2f3x/30b711301569728.ps (open in new window)

Parameters (Session):

par1 = 12 ; par2 = 0.0 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = 0 ; par7 = 1 ; par8 = 1 ; par9 = 0 ; par10 = FALSE ;

Parameters (R input):

par1 = 48 ; par2 = 0.0 ; par3 = 1 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ; par9 = 0 ; par10 = FALSE ;

R code (references can be found in the software module):

if (par1 == 'Default') { par1 = 10*log10(length(x)) } else { par1 <- as.numeric(par1) } par2 <- as.numeric(par2) par3 <- as.numeric(par3) par4 <- as.numeric(par4) par5 <- as.numeric(par5) if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma' par7 <- as.numeric(par7) if (par8 != '') par8 <- as.numeric(par8) ox <- x if (par8 == '') { if (par2 == 0) { x <- log(x) } else { x <- (x ^ par2 - 1) / par2 } } else { x <- log(x,base=par8) } if (par3 > 0) x <- diff(x,lag=1,difference=par3) if (par4 > 0) x <- diff(x,lag=par5,difference=par4) bitmap(file='picts.png') op <- par(mfrow=c(2,1)) plot(ox,type='l',main='Original Time Series',xlab='time',ylab='value') if (par8=='') { mytitle <- paste('Working Time Series (lambda=',par2,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } else { mytitle <- paste('Working Time Series (base=',par8,', d=',par3,', D=',par4,')',sep='') mysub <- paste('(base=',par8,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep='') } plot(x,type='l', main=mytitle,xlab='time',ylab='value') par(op) dev.off() bitmap(file='pic1.png') racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=mysub) dev.off() bitmap(file='pic2.png') rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF',sub=mysub) dev.off() (myacf <- c(racf$acf)) (mypacf <- c(rpacf$acf)) lengthx <- length(x) sqrtn <- sqrt(lengthx) load(file='createtable') a<-table.start() a<-table.row.start(a) a<-table.element(a,'Autocorrelation Function',4,TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Time lag k',header=TRUE) a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE) a<-table.element(a,'T-STAT',header=TRUE) a<-table.element(a,'P-value',header=TRUE) a<-table.row.end(a) for (i in 2:(par1+1)) { a<-table.row.start(a) a<-table.element(a,i-1,header=TRUE) a<-table.element(a,round(myacf[i],6)) mytstat <- myacf[i]*sqrtn a<-table.element(a,round(mytstat,4)) a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable.tab') a<-table.start() a<-table.row.start(a) a<-table.element(a,'Partial Autocorrelation Function',4,TRUE) a<-table.row.end(a) a<-table.row.start(a) a<-table.element(a,'Time lag k',header=TRUE) a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE) a<-table.element(a,'T-STAT',header=TRUE) a<-table.element(a,'P-value',header=TRUE) a<-table.row.end(a) for (i in 1:par1) { a<-table.row.start(a) a<-table.element(a,i,header=TRUE) a<-table.element(a,round(mypacf[i],6)) mytstat <- mypacf[i]*sqrtn a<-table.element(a,round(mytstat,4)) a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6)) a<-table.row.end(a) } a<-table.end(a) table.save(a,file='mytable1.tab')

Copyright

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

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